Publications in Refereed Journals
Forte, S. and Lovreta, L., 2019, "Volatility Discovery: Can the CDS Market Beat the Equity Options Market?", Finance Research Letters, Vol. 28, 107-111.
Forte, S. and Lovreta, L., 2015, "Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times", European Financial Management, Vol. 21, Issue 3, 430-461.
Forte, S. and Lovreta, L., 2012, "Endogenizing Exogenous Default Barrier Models: The MM Algorithm", Journal of Banking and Finance, Vol. 36, Issue 6, 1639-1652.*
Forte, S., 2011, "Calibrating Structural Models: A New Methodology Based on Stock and Credit Default Swap Data", Quantitative Finance, Vol. 11, Issue 12, 1745-1759.**
Forte, S. and Peña, J.I, 2011, "Debt Refinancing and Credit Risk", Spanish Review of Financial Economics, Vol. 9, Issue 1, 1-10.
Forte, S. and Peña, J.I., 2009, "Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS", Journal of Banking and Finance, Vol. 33, Issue 11, 2013-2025.**
Forte, S., 2009, "Capital Structure: Optimal Leverage and Maturity Choice in a Dynamic Model", Revista de Economía Financiera, No 18, 26-47.
"Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility". 2020. (with Lidija Lovreta).
"Credit Risk Discovery in the Stock and Credit Default Swap Market: Who Leads, When, and Why?". 2009. (with Lidija Lovreta). Mimeo.
"Implied Default Barrier in Credit Default Swap Premia". 2008. (with Francisco Alonso and José Manuel Marqués). Mimeo.
* Best Paper Award on Risk Management. 4th Workshop on Risk Management and Insurance. Seville, Spain. 2011.
** This paper is part of the research project "Credit Spreads: Theory and Evidence about the Information Content of Stocks, Bonds and CDS", that received the following awards:
· International Corporate Risk School Award – Santander, 2007.
· STOXX 2006 Risk Management Research Award; Silver Award. 15th European Financial Management Association Meeting. Madrid, Spain. 2006.